This survey articles focuses on emerging connections between the fields of machine learning and data compression. While fundamental limits of classical (lossy) data compression are established using rate-distortion theory, the connections to machine learning have resulted in new theoretical analysis and application areas. We survey recent works on task-based and goal-oriented compression, the rate-distortion-perception theory and compression for estimation and inference. Deep learning based approaches also provide natural data-driven algorithmic approaches to compression. We survey recent works on applying deep learning techniques to task-based or goal-oriented compression, as well as image and video compression. We also discuss the potential use of large language models for text compression. We finally provide some directions for future research in this promising field.